Background: A trade is considered a wash trade when a buy or sell order is sent to an exchange and filled against an opposing sell/buy (respectively) order from the same user. Wash trades are prohibited as they don't represent a market participant taking a true position. The exchanges can sense when these happen (post mortem) and may open investigations into trader activities that can lead to legal actions.
However, in practice when entering orders manually using the SuperDOM on either side of the market in close proximity (e.g. to capture the spread), it is quite easy to accidentally create a wash trade in a fast moving market. For instance:
1. Placing a limit buy order at $11.00 and then attempting to place a limit sell at $11.50 or $11.25 but accidentally clicking $11.00 instead.
2. Placing a limit buy order at $11.00 and placing a stop market sell at or above (in low liquidity market) the $11.00 instead of below it.
To avoid cases like this I request that NinjaTrader consider adding an new option named "Wash Trade Prevention". When enabled, then anytime an order could potentially match (or cross) an existing order from the same user, the order is repriced or rejected (rejecting being simplest to implement).
Adding the feature to the the general engine would benefit all users and help protect them and NinjaTrader from being overly scrutinized/investigated by exchange regulators.
***Please note that Interactive Brokers (IBK) offers this feature by default and I don't think there is even a way to turn it off. When a potential wash trade could occur a message in the log says "Your order was repriced so as not to cross a related resting order."
Thanks for you consideration,
Chris
However, in practice when entering orders manually using the SuperDOM on either side of the market in close proximity (e.g. to capture the spread), it is quite easy to accidentally create a wash trade in a fast moving market. For instance:
1. Placing a limit buy order at $11.00 and then attempting to place a limit sell at $11.50 or $11.25 but accidentally clicking $11.00 instead.
2. Placing a limit buy order at $11.00 and placing a stop market sell at or above (in low liquidity market) the $11.00 instead of below it.
To avoid cases like this I request that NinjaTrader consider adding an new option named "Wash Trade Prevention". When enabled, then anytime an order could potentially match (or cross) an existing order from the same user, the order is repriced or rejected (rejecting being simplest to implement).
Adding the feature to the the general engine would benefit all users and help protect them and NinjaTrader from being overly scrutinized/investigated by exchange regulators.
***Please note that Interactive Brokers (IBK) offers this feature by default and I don't think there is even a way to turn it off. When a potential wash trade could occur a message in the log says "Your order was repriced so as not to cross a related resting order."
Thanks for you consideration,
Chris
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